Estimation of Simple Kriging Models

Up to this point, we have assumed that to predict the value, Y ( s0 ) , at any location, s0 ,
not in the given set of data, { y ( si ) : i 1,.., N } , all covariances among the random
variables, {Y ( s0 ), Y ( s1 ),.., Y ( sN )} , are known. But in practice, these values need to be
estimated. Hence in this section we shall outline the full estimation procedure to be
followed.

Before doing so, it is important to note that up to this point we have also implicitly
assumed that the prediction of Y ( s0 ) is based on data at all locations, S {s1 ,.., sN } , no
matter how far these locations are from s0 . But even if the spatial stochastic process of
interest, {Y ( s ) : s R} , were truly stationary, it is clear that points at distances from s0
greater than the range of the variogram, () , would have no predictive power. Hence
there will almost always be some restriction on the set of data points used to predict
Y ( s0 ) . We shall henceforth use the notation,

(31) S ( s0 ) {si S : i 1,.., n}

to distinguish the predictor set of n ( N ) points used to obtain the prediction, Y ( s0 ) in

expression (2) on p.42 above [together with (19) on p.46]. Moreover, while the range, r,
of the variogram would seem to be the natural criterion for defining S ( s0 ) , it turns out
that this parameter is often very difficult to estimate reliably. Hence in practice, it is
much more common to simply use some prior definition of the local neighborhood
around s0 that is designed to capture most of the relevant dependencies with s0 . While
there is no clear theory here, there seems to be agreement among researchers that the set
of points included in S ( s0 ) is generally much smaller than that suggested by typical
estimates of r. In the following applications, we shall usually specify S ( s0 ) in terms of
some appropriate radius about s0 , designated as the bandwidth, h0 ,1 which is at least
large enough to capture the first few nearest neighbors of s0 . Hence, in a manner
analogous to K-functions for point pattern analysis, we now take the predictor set, S ( s0 ) ,
for s0 to be defined operationally by:2

(32) S ( s0 ) {si S : s, si h0 }

Notice also that this implies that the covariance matrix in the lower right hand corner of
expression (8) on p.44 is now explicitly dependent on s0 . So for predicting values of

1
In principle, this bandwidth, h0 , can depend on the particular point, s0 . However, we shall generally use a
single bandwidth for all points to be predicted in a given kriging application.
2
Alternative definitions of S ( s0 ) will be seen in the Geostatistical Analyst software for kriging discussed
below.]
Y ( s0 ) in terms of data at points, S ( s0 ) {s1 ,.., sn } , this covariance matrix among
predictor points is now designated as the predictor matrix for s0 , and is of the form,

c11 c1n

(33) C0
c c
n1 nn

where the subscript 0 reflects dependence on s0 . With these preliminaries, estimation

of simple kriging models can be described by the following sequence of steps:

Step 1. First we must estimate the appropriate covariogram for prediction by first using
all the data, { y ( si ) : i 1,.., N } { y ( s ) : s S } , to estimate the associated (spherical)
variogram. Since stationarity is postulated to be global in R, all data points should in
principle provide useful information about this variogram. Hence using the estimation
procedure above (as operationalized in var_spher_plot) we first employ all data,
{ y ( s ) : s S} , to obtain parameter estimates, (r, s, a ) , for a spherical variogram,
(h; r , s, a) , and then use the identity in expression (27) on p.41 to estimate the
corresponding covariogram by

(33) C (h) s (h; r, s, a ) . Estimated Covariogram

Step 2. Given these estimates at each distance, h, we then estimate the covariance,
cov( s1 , s2 ) , between any points, s1 , s2 R by

(34) s , s ) C [d ( s , s )]
cov( 1 2 1 2

Using this general procedure, all relevant covariances for predicting Y ( s0 ) are now
estimated by
2 c01 c0 n
2 c( s0 ) Estimated
c c11 c1n
(35) cov( 0 , 1 ,.., n ) 10 Covariance

c( s0 ) C0 Matrix

cn 0 cn1 cnn

where for example, the estimate of element cij of the predictor matrix, C0 , is given by

(36) cij C (dij )

where dij denotes the distance between points i and j . Similarly, if d 0 j denotes the
distance between s0 and each point s j S ( s0 ) , then the elements of c( s0 ) are estimated
by
(37) c0 j C (d 0 j )

Finally, recalling that the sill, s , of the spherical variogram, (h; r , s, a ) , corresponds to
the constant variance, 2 , for the given stationary stochastic process, it now follows that
the appropriate variance estimate 2 is given by the sill estimate (which is precisely the
covariance estimate at zero distance):3

(38) 2 s C (0)

Step 3. Next recall that in Simple Kriging the constant mean, , of the given process is
assumed to be determined outside the model. So unless this mean is actually known for
some reason, we must of course estimate it. The standard procedure is simply to estimate
by the sample mean of the entire data set:

yN
N N
(39) 1
N i 1
y ( si ) 1
N i 1
yi no error considered

Step 4. Given , we can then estimate the deviation error, i yi , at each data
point, i 1,.., N , by

(40) i yi

and designate the vector of relevant deviation estimates for prediction at point s0 by

(41) 0 [i : si S ( s0 )] (1 ,.., n )

Step 5. Finally, putting all these estimates together, we can estimate the Simple Kriging
prediction at point s0 in expression (19) on p.46 by

(42) Y ( s0 ) c( s0 ) C 01 0 Simple Kriging Prediction

Similarly, the standard error of prediction, 0 s20 in (24) on p.48, may now be
estimated in terms of (35) and (38) by
Prediction
(43) 02 s c( s0 )C 01c( s0 ) 0 s c( s0 )C 01c( s0 ) Std Error

Given this estimation procedure, now illustrate an application of Simple Kriging by the
following example.

3
Remember not to confuse the symbol, s , for sill with points, s ( s1 , s2 ) R .